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The Markov switching multi-fractal model of asset returns : estimation and forecasting of dynamic volatitility with multinomial specifications

Lee, Hwa Taek - 2007

Persistent link: https://www.econbiz.de/10003767966

Time series mixtures of generalized t experts : ML estimation and an application to stock return density forecasting

Carvalho, Alexandre Ywata de; Skoulakis, Georgios - In: Econometric reviews 29 (2010) 5/6, pp. 642-687

Persistent link: https://www.econbiz.de/10008668106

Testing for stock market bubbles using nonlinear models and fractional integration

Cuñado Eizaguirre, Juncal; Gil-Alaña, Luis A.; Perez … - In: Applied financial economics 17 (2007) 16/18, pp. 1313-1321

Persistent link: https://www.econbiz.de/10003605836

An empirical analysis of nonlinear dynamics relationship between the United States and Taiwan stock markets

Lee, Yen-Hsien - In: Zagreb international review of economics & business 15 (2012) 1, pp. 89-101

Persistent link: https://www.econbiz.de/10010236568

Do zero-cost portfolios have the ability to predict economic growth? : evidence from Hong Kong, South Korea and Taiwan

Davison, Freddy; Marsden, Alastair; Veeraraghavan, Madhu - In: International review of financial analysis 17 (2008) 5, pp. 1012-1028

Persistent link: https://www.econbiz.de/10003792374

Artificial long memory effects in two agent-based asset pricing models

Franke, Reiner - 2008

This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...